Fundamental Determinants of the Cross Sectional Variation of Average Returns in the Indonesian Capital Market (2)  

Oleh:

Anshori, Muhammad

Jenis: Article from Bulletin/Magazine
Dalam koleksi: Warta BAPEPAM-LK: Informasi Pasar Modal dan Lembaga Keuangan (Feb. 2011), page 13-14.
Topik: Dividend Yield; Market Capitalization; Earnings-price Ratio; Book-to-market Ratio; LQ45 Companies and the Indonesian Capital Market

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: WW43.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This study is an attempt to reveal firm-related-attributes like dividend yield (DIVY), market capitalization (ME), earnings-price-ratio (EPR) and book-to-market ratios (BMR) to forecast average annual returns in the Indonesian capital market. We use sample data of the 34 LQ45 companies over the period between 2003 and 2008 to reflect the Indonesian capital market and try to see if they are related with 1-year-future returns. A set of five econometric tests were conducted to test the statistical relationship between these explanatory variables and future returns. We found that the t-statistics demonstrated a statistical significance at the 1% level for all independent variables, which means that all independent variables have an influence on average return in Indonesia. However, the explanatory power of those variables is not the same. EPR adnd BMR variables seem to have higher significance in explaining the cross-sectional variation of average return in Indonesia than DIVY adn ME, as explained by the higher R-squared value the lower Akaike information criterion and Schwarz criterion values. In addition, the coefficient value of these variables also expresses the significant explanatory power in terms of return predictability. Therefore, an investor should consider these attributes to optimize their portofolios in the Indonesian capital market.

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